An empirical analysis of the Shanghai and Shenzhen limit order books

Huimin Chung, Cheng Gao, Jie Lu, Bruce Mizrach

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


This paper investigates the market microstructure of the Shanghai and Shenzhen Stock Exchanges. The two major Chinese stock markets are pure order-driven trading mechanisms without market makers, and we analyze empirically both limit order books. We begin our empirical modeling using the vector autoregressive model of Hasbrouck and extend the model to incorporate other information in the limit order book. We also study the market impact on A shares, B shares and H shares, and analyze how the market impact of stocks varies cross sectionally with market capitalization, tick frequencies, and turnover. Furthermore, we find that market impact is increasing in trade size. Order imbalances predict the next day's returns, with small order imbalances having a negative effect.

Original languageEnglish (US)
Pages (from-to)37-41
Number of pages5
JournalEconomic Modelling
StatePublished - Aug 2013

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics


  • Chinese stock market
  • Limit order book
  • Microstructure
  • VAR model


Dive into the research topics of 'An empirical analysis of the Shanghai and Shenzhen limit order books'. Together they form a unique fingerprint.

Cite this